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Hidden Markov models in finance : further developments and applications. Volume II

Author: Rogemar S Mamon
Publisher: New York, NY : Springer, 2014.
Series: International series in operations research & management science, 209.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Mamon, Rogemar S.
Hidden Markov models in finance. Mamon, Robert J. Elliott
(OCoLC)879770632
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rogemar S Mamon
ISBN: 9781489974426 1489974423
OCLC Number: 880372799
Description: 1 online resource (286 pages) : illustrations.
Contents: Robustification of an on-line EM algorithm for modelling asset prices within an HMM --
Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate --
An econometric model of the term structure of interest rates under regime-switching risk --
The LIBOR market model: a Markov-switching jump diffusion extension --
Exchange rates and net portfolio flows: a Markov-switching approach --
Hedging costs for variable annuities under regime-switching --
A stochastic approximation approach for trend-following trading --
A hidden Markov-modulated jump diffusion model for European option pricing --
An exact formula for pricing American exchange options with regime switching --
Parameter estimation in a weak hidden Markov model with independent drift and volatility --
Parameter estimation in a regime-switching model with non-normal noise.
Series Title: International series in operations research & management science, 209.
Responsibility: Rogemar S. Mamon, Robert J. Elliott.
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Linked Data


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